后金融危机下中国大类资产联动性探究:现象和原因

The Post-crisis Assets Comovement in China:Facts and Causes

金融危机以来,以股票、债券、大宗商品为代表的大类资产收益率之间的联动性显著增强,对于投资者的资产配置决策而言意义重大。本文基于此问题展开研究,描述了金融危机以来中国市场股票、债券、大宗商品的联动形态,验证并丰富了风险偏好假说和经济周期假说,并实证检验了两种理论对解释中国大类资产收益率联动性的效果。

Since the 2008 financial crisis, financial assets （stocks, bonds and commodities） in China have become mueh more closely correlated, which provides guidance for investors＇ assets allocation decisions. The paper provides evidence regarding this fact, improves two related theories （the risk preference theory and the economic cycle theory） and empirically validates their explanatory power on assets comovement.